WebCab Options and Futures for .NET 3.0
WebCab Options and Futures for .NET - 3-in-1: .NET, COM and XML Web service Components for pricing option and futures contracts using
Monte Carlo and Finite Difference techniques. General Monte Carlo pricing framework: wide range of
contracts, price, interest and vol models. Price European, Asian, American, Lookback, Bermuda and
Binary Options using Analytic, Monte Carlo and Finite Difference in accordance with a number of
vol, price, volatility and rate models.
General Pricing Framework offers the following
predefined Models and Contracts:
Contracts: Asian Option, Binary Option, Cap, Coupon
Bond, Floor, Forward Start stock option, Lookback Option, Ladder Option, Vanilla Swap, Vanilla
Stock Option, Zero Coupon Bond, Barrier Option, Parisian Option, Parasian Option, Forward and
Future.
Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve, One
factor stochastic models (Vasicek, Black-Derman-Toy (BDT), Ho & Lee, Hull and White), Two
factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz),
Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield (Ho & Lee, Hull
& White), Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market
model.
Price Models: Constant price model, General deterministic price model,
Lognormal price model, Poisson price model.
Volatility Models: Constant Volatility
Models, General Deterministic Volatility model, Hull & White Stochastic model of the Variance,
Hoston Stochastic Volatility model.
Monte Carlo Princing Engine: Evaluate price
estimate accordance to number of iterations or maximum expected error. Evaluate the standard
deviation of the price estimate, and the minimum/maximum expected price for a given confidence
level.
This product also has the following technology aspects:
3-in-1:
.NET, COM, and XML Web services - 3 DLLs, 3 API Docs,...
Extensive Client Examples (C#, VB,
C++,..)
ADO Mediator
Compatible Containers (VS, VS.NET, Office, C++Builder, Delphi)
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